Here's what I do: Take a strand of contrasting-color yarn and, when you reach the end of one round, put one end of this strand outside your work exactly at the beginning of the round - and pass the other end through/beneath your needles to the inside of your work. Now it lies across your work like a skinny, limp caterpillar. Couple of rounds later, when you've finished the last stitch before the one beginning the next round, take the inner part of contrasting yarn and thread it between the stitches [ending/beginning] below your needles.
Keep on "stitching" the cc yarn upwards as your work lengthens. You can pull it up easily and it marks your beginning and ending stitches very nicely indeed.
Hope this makes sense.
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